Here is a video on how to jailbreak the iPhone 4 using redsn0w.
This jailbreak is for the AT&T iPhone 4.
Download redsn0w 0.9.6b16:
Mac:
Windows: https://sites.google.com/a/iphone-dev.com/files/home/redsn0w_win_0.9.6rc16.zip?attredirects=0&d=1
Download iPhone 4 FW 4.3.3: http://www.iphonedownloadblog.com/iphone-downloads/
First song is from http://www.danosongs.com
Second song is from http://incompetech.com/m/c/royalty-free/ .